Limited-dependent rational expectations models with stochastic thresholds

DOI10.1016/0165-1765(96)00823-3zbMath1284.62431OpenAlexW2009509042MaRDI QIDQ2442557

M. Hashem Pesaran, Francisco J. Ruge-Murcia

Publication date: 3 April 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(96)00823-3

zbMATH Keywords

nonlinear modelscredibilityswitching regressionsstochastic band

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items (2)

Limited-dependent rational expectations models with stochastic thresholds ⋮ Limited-dependent rational expectations models with future expectations

Cites Work

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• A note on the estimation of limited dependent variable models under rational expectations
• Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone
• Rational expectations in limited dependent variable models
• Limited-dependent rational expectations models with stochastic thresholds

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